When $SPY posts more than 30 % YOY gains – what next ??

Posted by admin on in SPY, trading strategies

When $SPY posts more than 30 % YOY gains 

the simple answer is the momentum has just began & you will get a DIV/0 error in the excel sheet) !! , unlike the short term studies that we post with a typical period of 1-20 days , this one a long term holding study.

below the trading odds of $SPY longs for a holding period of 12 months .

strategy rules are buy when the current monthly close is 30% greater than monthly close 12 months ago , and exit after 12 months at close . ( for the Nov-2013 , the exit is at Nov-2014 ) , study period is from 1995 . ( or since the $SPY IPO)

  • Winners : 25
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 17.71
  • Median Change % : 18.88
  • Maximum Gain % : 30.06
  • Maximum Loss % : NA
  • Average Gain %if Winner : 17.71
  • Average Loss % if Loser : #DIV/0!
  • Average Gain % / Average Loss % : #DIV/0!
  • Average Absolute Change% : 16.76

Below the table with the details $SPY YoY gains of more than 30% and the next 12 months returns . since 1995 $SPY YoY gains of more than 30% , since 1995

 

and the above image for your editing purpose

Date $SPY YoY % Date $SPY Change%
Nov-2013 181 30.11 Nov-2014 ?? ??
Jun-2011 125.79 30.42 Jun-2012 132.48 5.32
Apr-2010 110.49 38.63 Apr-2011 129.4 17.11
Mar-2010 108.81 50.08 Mar-2011 125.75 15.57
Feb-2010 102.56 53.26 Feb-2011 125.74 22.60
Jan-2010 99.46 32.65 Jan-2011 121.52 22.18
Mar-2004 93.25 35.56 Mar-2005 99.17 6.35
Feb-2004 94.51 37.69 Feb-2005 101.01 6.88
Jan-2004 93.24 34.00 Jan-2005 98.95 6.12
Aug-1999 102.2 39.18 Aug-2000 119.09 16.53
Jan-1999 98.27 31.52 Jan-2000 108.56 10.47
Jun-1998 86.67 30.06 Jun-1999 106.03 22.34
Apr-1998 84.9 41.01 Apr-1999 102.85 21.14
Mar-1998 83.83 47.95 Mar-1999 99.09 18.20
Feb-1998 79.9 34.85 Feb-1999 95.12 19.05
Dec-1997 73.77 33.47 Dec-1998 94.92 28.67
Oct-1997 69.72 32.07 Oct-1998 84.43 21.10
Sep-1997 71.47 39.75 Sep-1998 78.1 9.28
Aug-1997 68.19 40.05 Aug-1998 73.43 7.68
Jul-1997 71.92 50.59 Jul-1998 85.5 18.88
Jun-1997 66.64 33.25 Jun-1998 86.67 30.06
Mar-1996 47.97 31.86 Mar-1997 56.66 18.12
Feb-1996 47.14 33.28 Feb-1997 59.25 25.69
Jan-1996 46.98 38.26 Jan-1997 58.69 24.93
Dec-1995 45.37 37.99 Dec-1996 55.27 21.82
Nov-1995 44.72 36.80 Nov-1996 56.65 26.68

 

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